LandÊn, Camilla - In: Finance and Stochastics 4 (2000) 4, pp. 371-389
We consider a diffusion type model for the short rate, where the drift and diffusion parameters are modulated by an underlying Markov process. The underlying Markov process is assumed to have a stochastic differential driven by Wiener processes and a marked point process. The model for the short...